BSX Options History — February 2022

In February 2022, BSX traded between $41.51 and $45.07. ATM implied volatility averaged 29.7%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.4% (HV 20d: 28.3%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.60.

Notable Days

  • 2022-02-23: Highest Volume — 52,974 contracts
  • 2022-02-23: Largest IV spike — 17.2% change
  • 2022-02-24: Highest IV Rank — 65.4%
  • 2022-02-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.41$41.51$45.07$43.37$43.92
Max Pain$44.42$42.00$45.00$42.00$44.00
ATM IV29.7%25.7%36.8%32.6%36.6%
Expected Move8.6%7.2%10.5%10.5%10.2%
HV 20d28.3%21.3%32.2%21.3%32.2%
HV 60d27.8%25.7%29.1%25.7%28.2%
IV Rank39.9%25.2%65.4%50.3%65.0%
IV Percentile76.7%48.0%96.4%91.7%96.4%
Term Structure-0.4%-1.9%0.7%-1.3%-1.9%
VWIV31.7%25.9%44.0%37.8%44.0%
Skew 25d3.6%-1.4%7.5%3.0%1.7%
Skew 10d6.3%-14.7%18.0%12.1%15.6%
Call IV 25d29.9%25.5%38.5%33.0%38.5%
Put IV 25d33.5%29.5%41.9%36.0%40.2%
Bid-Ask Spread %40.0019.5062.1845.1157.05
Gamma HHI0.160.100.340.140.19
Net GEX2.9M-6.7M7.4M301.4K4.6M
Net DEX-20.0M-89.8M51.2M-7.7M-33.5M
Net VEX-971.0K-1.2M-899.9K-945.1K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.425.292.542.57
Total Volume20,312.57911,91152,97426,82920,399
Total OI146,643.368123,222166,745132,339166,745

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$43.37$42.0032.6%10.5%21.3%50.3%37.8%3.0%-1.3%301.4K-7.7M-945.1K2.5445.11N/AN/A7,58219,24756,61375,726
2022-02-02$41.51$42.0028.1%8.9%25.7%33.9%31.1%5.2%0.0%-2.3M51.2M-899.9K1.7547.15N/AN/A6,95012,15460,55579,019
2022-02-03$42.62$45.0029.1%8.1%27.5%37.6%30.1%7.5%-0.2%-2.0M18.0M-945.6K0.9430.21N/AN/A8,7698,22364,12583,017
2022-02-04$42.86$45.0028.2%8.0%27.2%34.3%29.3%4.1%0.6%-6.7M965.9K-965.4K2.9831.74N/AN/A4,20312,54669,33283,700
2022-02-07$42.89$45.0028.7%8.2%27.0%36.0%29.1%4.1%0.2%3.4M-12.9M-938.3K2.2336.56N/AN/A4,73910,56666,59275,381
2022-02-08$44.09$45.0027.6%7.7%28.6%32.3%27.6%3.5%-1.2%5.5M-53.0M-948.5K1.6619.50N/AN/A5,9379,82867,51177,806
2022-02-09$44.68$45.0025.7%7.2%27.7%25.2%25.9%3.7%-0.4%6.0M-73.4M-932.6K2.9430.23N/AN/A3,2029,42666,17678,381
2022-02-10$43.67$45.0027.1%7.7%27.5%30.4%27.1%4.0%-0.2%4.6M-40.6M-937.6K1.8035.59N/AN/A5,83410,49966,40078,504
2022-02-11$43.17$45.0028.1%7.9%27.7%34.1%30.2%0.9%-1.0%4.5M-21.6M-980.1K4.9438.84N/AN/A2,44212,07069,20480,566
2022-02-14$42.81$45.0028.9%8.3%27.5%37.1%31.3%3.9%-0.4%3.4M-6.3M-927.2K3.4840.12N/AN/A2,6609,25168,35880,003
2022-02-15$43.78$45.0026.7%7.7%28.4%29.1%27.2%3.7%0.2%5.9M-37.7M-904.9K5.2922.26N/AN/A2,35112,42668,55580,076
2022-02-16$44.19$45.0026.6%7.6%28.6%28.6%27.6%3.9%-0.1%7.4M-51.3M-906.7K4.6025.99N/AN/A2,42611,15968,83781,368
2022-02-17$42.91$45.0027.8%8.0%30.3%33.0%28.6%5.7%0.4%3.9M420.9K-910.0K3.8737.43N/AN/A3,75514,51469,25481,635
2022-02-18$42.72$45.0028.1%8.1%29.7%33.9%29.3%4.8%-0.2%4.1M11.4M-949.3K1.0342.38N/AN/A12,82713,18770,32185,990
2022-02-22$42.95$44.0029.4%8.6%29.4%38.7%30.2%5.4%-0.8%-125.7K14.8M-956.1K2.1942.89N/AN/A6,29613,81946,32476,898
2022-02-23$43.77$44.0034.4%10.2%30.1%57.0%36.8%0.1%-0.2%1.1M-9.8M-1.0M0.4262.18N/AN/A37,22215,75249,12077,974
2022-02-24$43.81$44.0036.8%10.1%29.9%65.4%41.3%3.8%0.7%4.9M-38.8M-1.1M1.6355.66N/AN/A9,52315,51675,82478,678
2022-02-25$45.07$44.0034.2%10.1%31.4%56.0%38.2%-1.4%-1.2%7.4M-89.8M-1.1M2.5559.14N/AN/A8,06320,57679,15082,506
2022-02-28$43.92$44.0036.6%10.2%32.2%65.0%44.0%1.7%-1.9%4.6M-33.5M-1.2M2.5757.05N/AN/A5,70714,69281,20685,539